"Full Information Estimation and Stochastic Simulation of Models with Rational Expectations," (with J. B. Taylor), Journal of Applied Econometrics, 1990.Paper: pdf file
A computationally feasible method for the full information maximum-likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models.
This paper is a follow up to 1983#1. It shows that maximum likelihood estimates of models with rational expectations appear to be computationally feasible. Similarly, the stochastic simulation of such models appears computationally feasible.